Inserting sound effect

Hey, I am new to Audacity. I am trying to record myself reading books to my nephew. I want to add a sound effect at the end of each page so he knows when to turn. I have found some sound effects that I like, but when I try to import them as “raw data”, nothing plays back. Please help!

What file format are they?
What operating system are you using and which version of Audacity are you using?